Manager / Senior Manager - Market Risk

Hiring for: A leading private sector bank in India, offering a wide range of banking and financial services to corporate, retail, and institutional clients.

Role: Manager / Senior Manager - Market Risk

Positions: 1

Experience: 2 to 5 years

Location(s): Mumbai

Type: On-site / Permanent

Salary: Up to INR 30 LPA

Candidate shall have 2 - 5 years of experience in Market & Liquidity Risk Management in Domestic Banks (Private sector / Public Sector), Indian Branches of Foreign Banks, Risk Consulting. Candidate shall possess understanding of Market Risk & Liquidity Risk management and framework, Knowledge of LCR, NSFR, Structural Liquidity Statement, Treasury products, Valuation methodologies, Sensitivities, etc. Candidate should possess working knowledge of RBI /IFSCA requirements pertaining to Market & Liquidity Risk management.

Responsibility Areas

Responsible for Market Risk & Liquidity Risk Management functions

·      Responsible for valuation of Treasury portfolios – Forex, Fixed Income, Derivatives, Equity and structured products.

·      Responsible for computation and monitoring of LCR, NSFR, Structural liquidity Statement (SLS), Asset Liability Return (ALR) etc.

·      Responsible for liaising with other stakeholders for preparation and submission of various reports (ALR, ALO etc.).

·      Responsible for monitoring and analyzing sensitivities like Value at Risk and Modified duration, PV01 and other sensitivities like Greeks for Trading Portfolio.

·      Performing proactive scenario and simulation analysis for treasury trading portfolio on plausible economic events and scenarios.

·      Defining stress scenarios and stress testing methodologies.

·      Conducting Back testing and Performing root cause analysis for Back testing exceptions

·      Computation of Capital Charge and Risk Weighted Assets for Market Risk with respect to different product classes.

·      Validation of market data / derived market data and positions for valuation and risk analysis

·      P&L Attribution analysis based on first and second order sensitivities and underlying market movements

·      Understating of latest regulatory developments in market risk domain.

·      Responsible for submission of reports (LCR, NSFR, ALR, ALO etc.) to RBI/IFSCA.

·      Responsible for RBS submission related to liquidity risk /market risk data to RBI/IFSCA

·      Handling Audit queries and providing active assistance in audit

·      Counterparty credit exposure under RBI regime including bilateral netting.

Educational / Professional Qualification

Chartered Accountant, IIM/ IIT, MBA from tier 1/2 institute / NIBM.

Risk Management qualification like FRM / PRM  or CFA will have an added advantage.

Technical Knowledge

·      Strong analytical and problem solving skills.

·      Understanding of MS Excel and Excel Macro would be an added advantage.

·      Possess excellent interpersonal and communication skills with an ability to interact at various hierarchical levels, with specific orientation to stakeholder interests.

·      Well organized and ability to perform under stringent time line pressures without compromising on the end result quality